I just get the OEM BMW cabin filters with activated charcoal, made by Mann I think. They last a solid 15k, cost $16, and do a great job of filtration throughout the life of the filter.
I get zero dust buildup in my car, and even smells are eliminated effectively. I drive by a flavoring factory and in my Camry you can literally smell it for 6mi all around, but in the Bimmers there is no smell with the windows up.
I would try the furnace filter method, but I would end up spending $40 on a HEPA 99.999% filter which does not seem economical to me? I have allergies to dust, and the cabin filters I use have never triggered them.
(my allergies are bad enough, or at least annoying enough, that I have two filtration systems for my home HVAC, the one by the furnace is the electrostatic precipitation type with a 48"x28"x18" plate sheet and a UV light, with a paper-medium unit for the main air intake that uses those accordian-style very thick filters... My vents are dust free, and my house has at least 80% less dust build up since installed... Totally worth it)